JUMP DIFFUSION MODELS FOR JAPANESE STOCK MARKET
JUMP DIFFUSION MODELS FOR JAPANESE STOCK MARKET
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发表时间：
2005
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通讯作者：
K. Maekawa;Sangyeol Lee;Higashi Hiroshima;Takayuki Morimoto;Ken-ichi Kawai
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作者：
K. Maekawa;Sangyeol Lee;Higashi Hiroshima;Takayuki Morimoto;Ken-ichi Kawai
在经典的Black-Scholes框架中，几何布朗运动被用来模拟资产的收益。在这个模型中，收益分布应该是正态的。然而，许多实证研究表明，资产收益率的分布与正态分布相比，具有较高的峰值和较长的尾部，并且有时具有不对称性。造成这种现象的原因之一是扰动过程中的跳跃。布朗运动加复合泊松过程是一个典型的跳跃过程，近年来在金融数据中得到了广泛的应用。其中重点介绍了Kou的跳跃波动模型，并将其应用于日本股票市场。我们通过模拟研究以及通过比较Kou模型和Black-Scholes模型得出的期权价格来检验该模型的性能。参考S. G. Kou。“A JumpDiplomat
In classical Black-Scholes framework Geometric Brownian motion is used to model the return of assets. In this model the return distribution should be normal. However many empirical studies showed that distributions of assets return have higher peak and longer tail, and sometimes asymmetry compared with normal distributions. One of the causes of such phenomena is jumps in diusion processes. A typical jump diusion process consists of Brownian motion plus compound Poisson process, which has been applied to financial date in recent years. Among others we focus on Kou’s jump diusion model in this paper and apply it to Japanese stock market. We examine the performance of this mode by simulation study as well as by comparing option prices derived from Kou’s model and Black-Scholes model. Reference S.G.Kou. ”A JumpDiusion